arXiv research

Study optimal investment and consumption in financial markets using Ornstein-Uhlenbeck process.

Characterizes Lévy-driven Ornstein-Uhlenbeck processes linked to tempered stable distributions.

Develops European power option pricing under correlated interest rate and asset processes.

The aim of this paper is to construct the parabolic version of the Donaldson--Uhlenbeck compactification for the moduli space of parabolic stable bundles on an algenraic surface with parabolic structures along a divisor with normal crossing singularities. We prove the non--emptiness of the moduli space of parabolic sta…

Projective loops generate rational loop groups without needing nilpotent loops.

We survey recent progress in the study of moduli of vector bundles on higher-dimensional base manifolds. In particular, we discuss an algebro-geometric construction of an analogue for the Donaldson-Uhlenbeck compactification and explain how to use moduli spaces of quiver representations to show that Gieseker-Maruyama m…

Explains Uhlenbeck's work on maps and fields.

Let $H$ be a semisimple algebraic group. We prove the semistable reduction theorem for $μ$--semistable principal $H$--bundles over a {\it smooth projective variety $X$} defined over the field $\bc$. When $X$ is a {\it smooth projective surface} and $H$ is simple, we construct the algebro--geometric Donaldson--Uhlenbeck…

We construct a compactification $M^{μss}$ of the Uhlenbeck-Donaldson type for the moduli space of slope stable framed bundles. This is a kind of a moduli space of slope semistable framed sheaves. We show that there exists a projective morphism $γ\colon M^{ss} \to M^{μss}$, where $M^{ss}$ is the moduli space of S-equiva…

New proofs of Donaldson-Uhlenbeck-Yau theorem using geodesic rays.

The paper constructs new non-trivial harmonic maps into higher-dimensional target manifolds.

Sacks-Uhlenbeck's result on metric spaces expanded.

Pairs trading strategy improved using Ornstein-Uhlenbeck process.

This research announcement gives a brief report of the main results in our paper "PU(2) monopoles, I: Regularity, Uhlenbeck compactness, and transversality" (Journal of Differential Geometry, to appear). We describe the existence of perturbations for the PU(2) monopole equations, yielding both useful transversality pro…

Entropy-minimal measure calculated for a stochastic volatility model.

The paper proves a compactness theorem for Yang-Mills flow in higher dimensions.

Extends optimal regularity and Uhlenbeck compactness to non-Riemannian manifolds.

Estimates Ornstein-Uhlenbeck process from high-frequency data, reducing noise bias.

A new fast method simulates stochastic volatility models.

We will give a weak energy identity for Sacks-Uhlenbeck approximation of harmonic maps and calculate the length of the necks.

We prove the existence of perturbations for the PU(2) monopole equations, yielding transversality on the complement of the anti-self-dual or reducible solutions, and the existence of an Uhlenbeck compactification for the moduli space of solutions to these perturbed PU(2) monopole equations. In December 1994, V. Pidstri…

We prove sharp bounds for the growth rate of eigenfunctions of the Ornstein-Uhlenbeck operator and its natural generalizations. The bounds are sharp even up to lower order terms and have important applications to geometric flows.

Paper models non-maturing deposits using a Lévy-driven Ornstein-Uhlenbeck process.

This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by Lévy subordinators. We construct their sample path decomposition, show that they possess mean-reverting jumps, study their equivalent measure transformations, and the spectral representation of their transition semigro…

Study compactifications of Hermitian-Yang-Mills connections on projective manifolds.

Study optimal strategy for maximizing exponential utility in financial market with linear price impact.

Paper shows strong convergence rates for fractional processes using Ornstein-Uhlenbeck representations.

Study the hitting density of Ornstein-Uhlenbeck process, providing semi-analytical solutions.

The paper proves a Donaldson-Uhlenbeck-Yau theorem for normal varieties and semistable bundles.

Model approximates market prices and returns without prior market dynamics.

We consider the Black--Scholes model of financial market modified to capture the stochastic nature of volatility observed at real financial markets. For volatility driven by the Ornstein--Uhlenbeck process, we establish the existence of equivalent martingale measure in the market model. The option is priced with respec…

Method verifies if observed data fits Lévy-Driven Ornstein-Uhlenbeck process.

Study on gamma-related OU processes with simulation methods.

New proof of Donaldson-Uhlenbeck-Yau theorem using variational approach.

Study optimizes dividend payout strategies under fluctuating interest rates.

In 1982, Uhlenbeck \cite {U2} established the well-known gauge fixing theorem, which has played a fundamental role for Yang-Mills theory. In this paper, we apply the idea of Uhlenbeck to establish a parabolic type of gauge fixing theorems for the Yang-Mills flow and prove existence of a weak solution of the Yang-Mills …

Paper uses flow to prove theorem on Higgs bundles.

Karen Uhlenbeck's compactness theorem for sequences of connections with L2 bounds on curvature applies only to connections on principal bundles with compact structure group. This article states and proves an extension of Uhlenbecks theorem that describes sequences of connections on principal PSL(2;C) bundles over compa…

Paper proves existence of smooth nontrivial Dirac-harmonic maps.

We propose a strategy for automated trading, outline theoretical justification of the profitability of this strategy and overview the hypothetical results in application to currency pairs trading. The proposed methodology relies on the assumption that processes reflecting the dynamics of currency exchange rates are in …

We construct a new process using a fractional Brownian motion and a fractional Ornstein-Uhlenbeck process of the Second Kind as building blocks. We consider the increments of the new process in discrete time and, as a result, we obtain a more parsimonious process with similar autocovariance structure to that of a FARIM…

Empirical studies show that the volatility may exhibit correlations that decay as a fractional power of the time offset. The paper presents a rigorous analysis for the case when the stationary stochastic volatility model is constructed in terms of a fractional Ornstein Uhlenbeck process to have such correlations. It is…

Modeling horse race betting odds with Ornstein-Uhlenbeck process.

Study prices energy derivatives using specific stochastic processes.

In this paper, we study an $α$-flow for the Sack-Uhlenbeck functional on Riemannian surfaces and prove that the limiting map by the $α$-flows is a weak solution to the harmonic map flow. By an application of the $α$-flow, we present a simple proof of an energy identity of a minimizing sequence in each homotopy class.

Uhlenbeck's compactness theorem can be used to analyze sequences of connections with anti-self dual curvature on principal SU(2) bundles over oriented 4-dimensional manifolds. The theorems in this paper give an extension of Uhlenbeck's theorem for sequences of solutions of certain SL(2,C) analogs of the anti-self dual …

We consider the problem of extending functions φ:\to S^n to functions u:B^{n+1}\to S^n for n=2,3. We assume φto belong to the critical space W^{1,n} and we construct a W^{1,(n+1,\infty)}-controlled extension u. The Lorentz-Sobolev space W^{1,(n+1,\infty)} is optimal for such controlled extension. Then we use such resul…

We prove that any flat family $(\mathcal{ F}_u)_{u\in U}$ of rank 2 torsion-free sheaves on a Gauduchon surface defines a continuous map on the semi-stable locus $U^{\mathrm {ss}}:=\{u\in U \ |\ \mathcal{ F}_u\hbox{ is slope semi-stable}\}$ with values in the Donaldson-Uhlenbeck compactification of the corresponding in…